Releases

These changes are listed in decreasing version number order.

Release 0.7

Release date was Tuesday, 31 May 2022

• added dcf.curves.curve.Curve.kwargs to clone and persist object

• added dcf.curves.curve.ForwardCurve for asset forwards like stocks or commodities

• added dcf.curves.fx.FxForwardCurve for fx forwards rates

• added dcf.cashflows.cashflow.CashFlowList.kwargs to clone and persist object

• added dcf.cashflows.contingent for option pricing

• added various standard option pricing formulas dcf.models incl. digital or binary versions like

  • Bachelier as dcf.models.bachelier.NormalOptionPayOffModel

  • Black-Scholes resp. Black76 as dcf.models.black76.LogNormalOptionPayOffModel

  • displaced Black76 as dcf.models.displaced.DisplacedLogNormalOptionPayOffModel

  • as well as an intrinsic version dcf.models.intrinsic.IntrinsicOptionPayOffModel

• modified dcf.pricer.get_present_value() to word with dcf.models.optionpricing.OptionPayOffModel

• removed dcf.pricer.get_fair_rate() alias get_par_rate()

• removed submodules dcf.data

• added submodules dcf.cashflows.payoffs

• added pricer routine dcf.pricer.get_curve_fit()

• added dcf.curves.curve.RateCurve.spread

Release 0.6

Release date was Friday, 14 January 2022

• added dcf.cashflows.cashflow.FixedCashFlowList.table and dcf.cashflows.cashflow.RateCashFlowList.table

• added new module dcf.daycount and updated dcf.daycount.day_count()

  to default to year fractions in case of simple float inputs

• added dcf.pricer.get_bucketed_delta()

• added submodules dcf.data, dcf.cashflows.products and dcf.curves.plot (under construction)

Release 0.5

Release date was November 22, 2021

• added dcf.pricer.get_basis_point_value()

Release 0.4

Release date was October 11, 2020

• dropping support for python 2 incl. 2.7

• new casting concept for curves, old curve_instance.cast(TypeToCastTo) is replaced by TypeToCastTo(curve_instance)

• restructuring cashflow lists, see dcf.cashflows.cashflow

• adding payment plans, see dcf.plans

• adding pricing functions, e.g. dcf.pricer.get_present_value(), dcf.pricer.get_yield_to_maturity(), get_par_rate(), …

• more docs

• more tests

Release 0.3

Release date was September 18, 2019

• migration to python 3.4, 3.5, 3.6 and 3.7

• automated code review

• more docs

• supporting third party (e.g.) interpolation

• adding travis ci

• update for auxilium tools

• replaced assert stmt by if not stmt: raise AssertionError() (bandit recommendation)

Release 0.2

Release date was March 3, 2017

Release 0.1

Release date was December 31, 2016